Exchange Rate Pass-Through in Turkey

IMF Working Papers, November 1, 2002

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Exchange Rate Pass-Through in Turkey

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Bibliographic details

• Authors: Marco Rossi, Daniel Leigh
• Published: November 1, 2002
• Series: IMF Working Papers
• DOI: https://doi.org/10.5089/9781451874518.001

Summary and main findings

• Paper uses a recursive vector autoregression model to investigate the impact of exchange rate movements on prices in Turkey.
• Key findings:
  • (i) the impact of the exchange rate on prices is over after about a year, but is mostly felt in the first four months,
  • (ii) the pass-through to wholesale prices is more pronounced compared to the pass-through to consumer prices, and
  • (iii) the estimated pass-through is complete in a shorter time and is larger than that estimated for other key emerging market countries.

Methodology

• Empirical approach: recursive vector autoregression (VAR) model.
• Focus: relationship between exchange rate movements and domestic prices in Turkey, in the context of moving to an inflation targeting regime.
• Impulse response analysis used to trace timing and magnitude of pass-through.

Subjects and keywords

• Subjects: Consumer price indexes; Consumer prices; Exchange rates; Foreign exchange; Inflation; Prices; Wholesale price indexes.
• Keywords: Africa; Consumer price indexes; Consumer prices; distribution chain; exchange rate movement; Exchange rate pass-through; exchange rate shock; Exchange rates; impulse response; inflation; inflation targeting; pass-through; pass-through coefficient; price; Turkey; VAR; Wholesale price indexes; WP; WPI inflation.

Content in this bundle

• Exchange Rate Pass-Through in Turkey - WP/02/204
  • Exchange Rate Pass-Through in Turkey - WP/02/204 (Markdown version)
  • Exchange Rate Pass-Through in Turkey - WP/02/204 (PDF)